PT  - JOURNAL ARTICLE
AU  - Bing-Qing Li
AU  - Hai-Jian Zhao
TI  - Pricing Parisian Options by Generating Functions
AID  - 10.3905/JOD.2009.16.4.072
DP  - 2009 May 31
TA  - The Journal of Derivatives
PG  - 72--81
VI  - 16
IP  - 4
4099  - https://pm-research.com/content/16/4/72.short
4100  - https://pm-research.com/content/16/4/72.full
AB  - We provide new and discrete time combinatorial approaches to evaluate Parisian options. By using generating functions, a very useful tool in lattice path enumeration, the computation of consecutive and cumulative Parisian options is significantly simplified. This leads to combinatorial algorithms that reduce the computational complexity and produce highly accurate prices.TOPICS: Options, statistical methods